City Research Online

Items where City Author is "Sarno, Lucio"

Up a level
Export as [feed] RSS 2.0 [feed] RSS
Group by: Publication Type | No Grouping
Number of items: 25.

Article

Fratzscher, M., Gloede, O., Menkhoff, L., Sarno, L. and Stoehr, T. (2018). When is Foreign Exchange Intervention Effective? Evidence from 33 Countries. American Economic Journal: Macroeconomics,

Sarno, L., Blake, D. and Zinna, G. (2017). The market for lemmings: The herding behavior of pension funds. Journal of Financial Markets, doi: 10.1016/j.finmar.2017.03.001

Sarno, L., Menkhoff, L., Schmeling, M. and Schrimpf, A. (2016). Currency Value. The Review of Financial Studies, doi: 10.1093/rfs/hhw067

Sarno, L., Schneider, P. and Wagner, C. (2016). The Economic Value of Predicting Bond Risk Premia. Journal of Empirical Finance, 37, pp. 247-267. doi: 10.1016/j.jempfin.2016.02.001

Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2016). Information flows in foreign exchange markets: Dissecting customer currency trades. Journal of Finance, 71(2), pp. 601-634. doi: 10.1111/jofi.12378

Sarno, L., Tsiakas, I. and Ulloa, B. (2016). What drives international portfolio flows?. Journal of International Money and Finance, 60, pp. 53-72. doi: 10.1016/j.jimonfin.2015.03.006

Della Corte, P., Riddiough, S. J. and Sarno, L. (2016). Currency Premia and Global Imbalances. Review of Financial Studies, 29(8), pp. 2161-2193. doi: 10.1093/rfs/hhw038

Della Corte, P., Ramadorai, T. and Sarno, L. (2016). Volatility Risk Premia and Exchange Rate Predictability. Journal of Financial Economics, 120(1), pp. 21-40. doi: 10.1016/j.jfineco.2016.02.015

Cenedese, G., Payne, R., Sarno, L. and Valente, G. (2016). What Do Stock Markets Tell Us about Exchange Rates?. Review of Finance, 20(3), pp. 1045-1080. doi: 10.1093/rof/rfv032

Fratzscher, M., Rime, D., Sarno, L. and Zinna, G. (2015). The scapegoat theory of exchange rates: the first tests. Journal of Monetary Economics, 70, pp. 1-21. doi: 10.1016/j.jmoneco.2014.09.001

Cenedese, G., Sarno, L. and Tsiakas, I. (2014). Foreign exchange risk and the predictability of carry trade returns. Journal of Banking & Finance, 42, pp. 302-313. doi: 10.1016/j.jbankfin.2014.01.040

Sarno, L. and Schmeling, M. (2014). Which fundamentals drive exchange rates? A cross-sectional perspective. Journal of Money, Credit and Banking, 46(2-3), pp. 267-292. doi: 10.1111/jmcb.12106

Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), pp. 660-684. doi: 10.1016/j.jfineco.2012.06.009

Eichengreen, B., Mody, A., Nedeljkovic, M. and Sarno, L. (2012). How the Subprime Crisis went global: Evidence from bank credit default swap spreads. Journal of International Money and Finance, 31(5), pp. 1299-1318. doi: 10.1016/j.jimonfin.2012.02.002

Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012). Carry trades and global foreign exchange volatility. The Journal Of Finance, 67(2), pp. 681-718. doi: 10.1111/j.1540-6261.2012.01728.x

Banti, C., Phylaktis, K. and Sarno, L. (2012). Global liquidity risk in the foreign exchange market. Journal of International Money and Finance, 31(2), pp. 267-291. doi: 10.1016/j.jimonfin.2011.11.010

Sarno, L., Schneider, P. and Wagner, C. (2012). Properties of foreign exchange risk premiums. Journal of Financial Economics, 105(2), pp. 279-310. doi: 10.1016/j.jfineco.2012.01.005

Corte, P. D., Sarno, L. and Sestieri, G. (2012). The predictive information content of external imbalances for exchange rate returns: How much is it worth?. Review of Economics and Statistics, 94(1), pp. 100-115. doi: 10.1162/REST_a_00157

Della Corte, P., Sarno, L. and Tsiakas, I. (2011). Spot and forward volatility in foreign exchange. Journal of Financial Economics, 100(3), pp. 496-513. doi: 10.1016/j.jfineco.2011.01.007

Fratzscher, M., Juvenal, L. and Sarno, L. (2010). Asset prices, exchange rates and the current account. European Economic Review, 54(5), pp. 643-658. doi: 10.1016/j.euroecorev.2009.12.005

Sarno, L., Della Corte, P. and Tsiakas, I. (2009). An Economic Evaluation of Empirical Exchange Rate Models. Review of Financial Studies, 22(9), pp. 3491-3530. doi: 10.1093/rfs/hhn058

Corte, P. D., Sarno, L. and Thornton, D. (2008). The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value. Journal of Financial Economics, 89(1), pp. 158-174. doi: 10.1016/j.jfineco.2007.08.002

Book Section

Della Corte, P., Sarno, L. and Tsiakas, I. (2012). Volatility and Correlation Timing in Active Currency Management. In: James, J., Marsh, I. W. and Sarno, L. (Eds.), Handbook of Exchange Rates. (pp. 421-447). New Jersey, USA: Wiley. ISBN 9780470768839

Monograph

Della Corte, P., Sarno, L., Schmeling, M. and Wagner, C. (2013). Exchange Rates and Sovereign Risk. SSRN.

Della Corte, P., Sarno, L. and Thornton, D. L. (2007). The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value (Report No. 6445). Centre for Economic Policy Research.

This list was generated on Sun Dec 16 04:29:27 2018 UTC.